Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0311
Annualized Std Dev 0.2205
Annualized Sharpe (Rf=0%) -0.1411

Row

Daily Return Statistics

Close
Observations 2817.0000
NAs 1.0000
Minimum -0.1343
Quartile 1 -0.0077
Median 0.0003
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0078
Maximum 0.1104
SE Mean 0.0003
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0005
Variance 0.0002
Stdev 0.0139
Skewness -0.4813
Kurtosis 7.1422

Downside Risk

Close
Semi Deviation 0.0101
Gain Deviation 0.0089
Loss Deviation 0.0101
Downside Deviation (MAR=210%) 0.0151
Downside Deviation (Rf=0%) 0.0101
Downside Deviation (0%) 0.0101
Maximum Drawdown 0.7073
Historical VaR (95%) -0.0214
Historical ES (95%) -0.0323
Modified VaR (95%) -0.0227
Modified ES (95%) -0.0445
From Trough To Depth Length To Trough Recovery
2011-08-23 2020-03-19 NA -0.7073 2410 2157 NA
2010-04-23 2010-07-01 2010-11-04 -0.1395 137 49 88
2010-01-20 2010-02-08 2010-04-01 -0.1091 51 14 37
2011-05-02 2011-06-27 2011-08-22 -0.1063 79 40 39
2011-02-09 2011-03-16 2011-04-29 -0.0898 56 25 31

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2010 3.1 0.4 1.5 0.5 -0.1 -1.7 0.8 0.7 1.5 0.3 1.4 1.3 10.1
2011 1.9 1.8 -0.2 1.6 -0.7 -0.4 1.1 0.4 -0.8 -0.8 0.3 1.7 6.2
2012 1.8 1.4 0.7 0.3 1.9 4.3 -1.2 2 1.2 -0.1 -0.5 1.2 13.6
2013 0.5 -0.6 1.4 -1.8 -2.1 2.6 0.2 -0.1 -1.2 0.3 1 0.8 1
2014 -0.4 -0.5 0.7 -0.1 -0.4 1.5 0.2 -0.1 -1.2 -0.6 3.3 -0.7 1.7
2015 1.6 1 1.9 -0.8 -0.7 0.5 -0.2 -1 -0.6 -0.8 1 2.5 4.2
2016 -0.1 0.2 -1.9 2.4 -0.7 3.1 1 -0.1 0.2 1.4 0.5 0.2 6.2
2017 0.5 -1.1 -0.1 -1.8 -1.8 0.4 0.2 0.9 -1.1 1.6 -0.3 0.2 -2.6
2018 0.6 -1.7 -0.6 -1.1 -0.4 0.4 -2.4 -0.8 1 2.4 -2.5 0.7 -4.4
2019 0.6 -1.8 0.2 -2.6 -0.3 -0.4 -1.2 1.9 -0.7 1.8 0.3 0.9 -1.2
2020 -2.3 -4.1 -0.8 -2.5 2.6 -0.6 0.7 0.9 0.9 -0.5 3.7 0 -2.3
2021 4.9 0 -1.6 NA NA NA NA NA NA NA NA NA 3.2

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart